Einde inhoudsopgave
EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/5.VII.1.4.1
5.VII.1.4.1 ESMA key proposals and observations
mr. J.E.C. Gulyás, datum 01-02-2021
- Datum
01-02-2021
- Auteur
mr. J.E.C. Gulyás
- JCDI
JCDI:ADS267165:1
- Vakgebied(en)
Financieel recht / Bank- en effectenrecht
Financieel recht / Europees financieel recht
Financiële dienstverlening / Financieel toezicht
Voetnoten
Voetnoten
AMF (Autorité des Marchés Financiers), Growing Importance of the closing auction in share trading volumes, 9 October 2019.
ESMA, Consultation Paper: MiFID II/MiFIR review report on the transparency regime for equity and equity-like instruments, the double volume cap mechanism and the trading obligations for shares 4 February 2020 (ESMA70-156-2188), p. 98-99.
ESMA, MiFID II/MiFIR Review Report: on the transparency regime for equity and equity-like instruments, the double volume cap mechanism and the trading obligations for shares, 16 July 2020(ESMA70-156-2682), p. 46-47. See, for example, SMSG, Advice to ESMA: Response to ESMA’s Consultation Paper concerning MiFIR transparency regime for equity, 23 March 2020 (ESMA22-106-2354), p. 2.
ESMA, MiFID II/MiFIR Review Report: on the transparency regime for equity and equity-like instruments, the double volume cap mechanism and the trading obligations for shares, 16 July 2020(ESMA70-156-2682), p. 46-47.
ESMA, MiFID II/MiFIR Review Report: on the transparency regime for equity and equity-like instruments, the double volume cap mechanism and the trading obligations for shares, 16 July 2020(ESMA70-156-2682), p. 46-47.
ESMA, MiFID II/MiFIR Review Report: on the transparency regime for equity and equity-like instruments, the double volume cap mechanism and the trading obligations for shares, 16 July 2020(ESMA70-156-2682), p. 46-47.
ESMA, MiFID II/MiFIR Review Report: on the transparency regime for equity and equity-like instruments, the double volume cap mechanism and the trading obligations for shares, 16 July 2020(ESMA70-156-2682), p. 47.
The ESMA MiFID II Review for RMs and MTFs also concerns closing auctions. ESMA proposes in the MiFID II Review Report to take a wait-and-see approach in relation to closing auctions. A closing auction can be characterised as a ‘conventional’ periodic auction during the end of the trading day. The proportion of shares traded during RM closing auctions increased steadily over the last few years. The reasons for the increase include, among other things, the creation and redemption process of ETFs taking place at the end of the day, avoiding high frequency traders (presence of high frequency trading has traditionally been limited during closing auctions), and the effect of ‘liquidity attracting liquidity’.1
During the ESMA consultation asked for input on the increase in closing auctions. ESMA provided no proposals in the ESMA consultation.2 Respondents to the ESMA consultation broadly agreed with ESMA’s observation of a steady increase in the market share of closing auctions.3 The respondents also agreed with the factors ESMA referred to.4 Respondents mentioned as additional factors for the growth in closing auctions, among other things, the use of the closing price as a reference price (e.g. for tax matters and the determination of settlement prices).5
About half of the respondents did not recommend to take action at this stage, but rather to monitor developments in the next 12-18 months first. Respondents recommending action provided varying proposals, such as shorting trading hours (market-driven) or only allowing to use a so-called VWAP (Volume Weighted Average Price) reference unwind prices across multiple venues rather than the official closing price (regulatory driven).6 In light of the feedback received, ESMA considers that regulatory action is too premature at this stage. ESMA proposes to monitor the evolution of closing auctions.7